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A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection.

Audrone VirbickaiteMaría Concepción AusínPedro Galeano
Published in: Comput. Stat. Data Anal. (2016)
Keyphrases
  • management system
  • probabilistic model
  • robust optimization
  • objective function
  • probability distribution
  • combinatorial optimization
  • portfolio selection